(using the 2014 rules)

Let's say a creature is affected by Phantasmal Killer:

[...] The target must make a Wisdom saving throw. On a failed save, the target becomes frightened for the duration. At the end of each of the target’s turns before the spell ends, the target must succeed on a Wisdom saving throw or take 4d10 psychic damage. On a successful save, the spell ends.

Would Protection from Evil and Good be helpful for that creature in the following saving throws?

[...] If the target is already charmed, frightened, or possessed by such a creature, the target has advantage on any new saving throw against the relevant effect.

Yes Protection from Evil and Good  should grant advantage on any new saving throw against the relevant effect that made you frightened to end it. 

This would work as long as the source of the frightened condition came from a particular creature type that the spell protects against:  aberrations, celestials, elementals, fey, fiends, and undead.  

For example, if a creature is frightened due to being affected by Phantasmal Killer that was cast by an "evil" humanoid wizard, this protection spell wouldn't help since it doesn't work against humanoids.

If the target is already charmed, frightened, or possessed by such a creature . . .

Quote from Plaguescarred >>

Yes Protection from Evil and Good  should grant advantage on any new saving throw against the relevant effect that made you frightened to end it. 

 Nice. I ruled right, then :)

Quote from up2ng >>

This would work as long as the source of the frightened condition came from a particular creature type that the spell protects against:  aberrations, celestials, elementals, fey, fiends, and undead.  [...]

 Yeah, that part was ok. It was a fiend, yes.

EDIT: for clarity (and thanks guys!)